IBOV

# variables
J <- 250; win1 <- seq(1, J)
W <- 250

# Import data
ports  <- readRDS("./data/ibov-rps.rds")
mkt    <- ports$mkt[-win1]
mkt.ac <- fun.retac(ports$mkt[-win1])
rps.ac <- ports$ac.rps
rpn.ac <- ports$ac.rpn

portnames <- unique(colnames(ports$rps))
n <- length(portnames); n
## [1] 9

Figures

## Cumulative Returns for IBOV bwd.10

## Volatility for IBOV bwd.10

## Cumulative Returns for IBOV fwd.10

## Volatility for IBOV fwd.10

## Cumulative Returns for IBOV las.10

## Volatility for IBOV las.10

## Cumulative Returns for IBOV bwd.15

## Volatility for IBOV bwd.15

## Cumulative Returns for IBOV fwd.15

## Volatility for IBOV fwd.15

## Cumulative Returns for IBOV las.15

## Volatility for IBOV las.15

## Cumulative Returns for IBOV bwd.20

## Volatility for IBOV bwd.20

## Cumulative Returns for IBOV fwd.20

## Volatility for IBOV fwd.20

## Cumulative Returns for IBOV las.20

## Volatility for IBOV las.20

SP500

J <- 500; win1 <- seq(1, J)
W <- 250

# Import
ports  <- readRDS("./data/spy5-rps.rds")
mkt    <- ports$mkt[-win1]
mkt.ac <- fun.retac(ports$mkt[-win1])
rps.ac <- ports$ac.rps
rpn.ac <- ports$ac.rpn

portnames <- unique(colnames(ports$rps))
n <- length(portnames); n
## [1] 9

SP500 Figures

## Cumulative Returns for SP500 bwd.20

## Volatility for SP500 bwd.20

## Cumulative Returns for SP500 fwd.20

## Volatility for SP500 fwd.20

## Cumulative Returns for SP500 las.20

## Volatility for SP500 las.20

## Cumulative Returns for SP500 bwd.30

## Volatility for SP500 bwd.30

## Cumulative Returns for SP500 fwd.30

## Volatility for SP500 fwd.30

## Cumulative Returns for SP500 las.30

## Volatility for SP500 las.30

## Cumulative Returns for SP500 bwd.40

## Volatility for SP500 bwd.40

## Cumulative Returns for SP500 fwd.40

## Volatility for SP500 fwd.40

## Cumulative Returns for SP500 las.40

## Volatility for SP500 las.40